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PRMIA 8007 exam : Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

8007 Exam Questions
  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Jul 30, 2026
  • Q & A: 133 Questions and Answers
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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Topic 1: Probability Theory- Fundamental Probability Concepts
  • 1. Probability Rules
  • 2. Conditional Probability
  • 3. Random Variables
  • 4. Bayes' Theorem
Topic 2: Risk Measurement Applications- Quantitative Risk Analysis
  • 1. Volatility Modeling
  • 2. Value at Risk Methodologies
  • 3. Portfolio Risk Measurement
  • 4. Sensitivity Analysis
Topic 3: Statistical Analysis- Descriptive and Inferential Statistics
  • 1. Maximum Likelihood Estimation
  • 2. Hypothesis Testing
  • 3. Confidence Intervals
  • 4. Moments and Distributions
Topic 4: Calculus- Differential and Integral Calculus
  • 1. Integration
  • 2. Differentiation
  • 3. Multivariable Calculus
  • 4. Functions and Limits
Topic 5: Regression and Time Series Analysis- Modeling Techniques
  • 1. Multivariate Regression
  • 2. Time Series Forecasting
  • 3. Model Diagnostics
  • 4. Linear Regression
Topic 6: Linear Algebra- Matrix Methods
  • 1. Positive Definiteness
  • 2. Matrix Operations
  • 3. Eigenvalues and Eigenvectors
  • 4. Covariance Matrices
Topic 7: Numerical Methods- Quantitative Techniques
  • 1. Optimization Methods
  • 2. Monte Carlo Methods
  • 3. Simulation Techniques
  • 4. Numerical Approximation

PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:

1. Variance reduction is:

A) A method for reducing the number of simulations required in a Monte Carlo simulation
B) A technique that is applied in regression models to improve the accuracy of the coefficient estimates
C) A numerical method for finding portfolio weights to minimize the variance of a portfolio that has a given expected return
D) A numerical method for finding the variance of the underlying that is implicit in a market price of an option


2. The fundamental theorem of analysis establishes a relation between

A) The derivative of a function and the derivative of its inverse function
B) The derivative of a function and the slope of its graph
C) Integration and differentiation of functions
D) First and second derivative of a function


3. A simple linear regression is based on 100 data points. The total sum of squares is 1.5 and the correlation between the dependent and explanatory variables is 0.5. What is the explained sum of squares?

A) 0.375
B) 1.125
C) 0.3333
D) 0.75


4. Which of the following is not a sequence?

A) 30
B) , , , , ...
C) , , , , , , ...
D) , , , ... , , ...


5. Simple linear regression involves one dependent variable, one independent variable and one error variable. In contrast, multiple linear regression uses...

A) One dependent variable, many independent variables, one error variable
B) One dependent variable, one independent variable, many error variables
C) Many dependent variables, one independent variable, one error variable
D) Many dependent variables, many independent variables, many error variables


Solutions:

Question # 1
Answer: A
Question # 2
Answer: C
Question # 3
Answer: A
Question # 4
Answer: A
Question # 5
Answer: A

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